CFJIX vs. CAAAX

Last updated Jun 25, 2026

CFJIX (Calvert US Large-Cap Value Responsible Index Fund) and CAAAX (Calvert Growth Allocation Fund) are both mutual funds - CFJIX is a Large Cap Value Equities fund managed by Calvert Research and Management, while CAAAX is a Diversified Portfolio fund managed by Calvert Research and Management. Over the past 10 years, CFJIX returned 12.65%/yr vs 11.07%/yr for CAAAX. Their correlation of 0.88 suggests significant overlap in exposure. CFJIX charges 0.24%/yr vs 0.43%/yr for CAAAX.

Performance

CFJIX vs. CAAAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calvert US Large-Cap Value Responsible Index Fund (CFJIX) and Calvert Growth Allocation Fund (CAAAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CFJIX achieves a 20.00% return, which is significantly higher than CAAAX's 9.34% return. Over the past 10 years, CFJIX has outperformed CAAAX with an annualized return of 12.65%, while CAAAX has yielded a comparatively lower 11.07% annualized return.

CFJIX

• 1D: 0.24%
• 1M: 6.38%
• YTD: 20.00%
• 6M: 18.48%
• 1Y: 32.90%
• 3Y*: 21.07%
• 5Y*: 10.77%
• 10Y*: 12.65%

CAAAX

• 1D: -1.80%
• 1M: 0.88%
• YTD: 9.34%
• 6M: 8.51%
• 1Y: 19.22%
• 3Y*: 14.92%
• 5Y*: 7.02%
• 10Y*: 11.07%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CFJIX vs. CAAAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CFJIX Calvert US Large-Cap Value Responsible Index Fund	20.00%	16.76%	14.63%	9.86%	-11.70%	24.40%	9.06%	29.36%	-10.08%	15.17%
CAAAX Calvert Growth Allocation Fund	9.34%	14.93%	12.56%	15.14%	-18.26%	16.67%	18.55%	27.33%	-7.73%	20.27%

Correlation

The correlation between CFJIX and CAAAX is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.84
Correlation (5Y) Calculated over the trailing 5-year period	0.88
Correlation (10Y) Calculated over the trailing 10-year period	0.88
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016	0.88

The correlation between CFJIX and CAAAX has been stable across timeframes, ranging from 0.81 to 0.88 - a consistent structural relationship.

Return for Risk

CFJIX vs. CAAAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CFJIX

CFJIX Risk / Return Rank: 85
CFJIX Sharpe Ratio Rank: 88
CFJIX Sortino Ratio Rank: 87
CFJIX Omega Ratio Rank: 79
CFJIX Calmar Ratio Rank: 86
CFJIX Martin Ratio Rank: 86

CAAAX

CAAAX Risk / Return Rank: 43
CAAAX Sharpe Ratio Rank: 42
CAAAX Sortino Ratio Rank: 42
CAAAX Omega Ratio Rank: 41
CAAAX Calmar Ratio Rank: 41
CAAAX Martin Ratio Rank: 52

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CFJIX vs. CAAAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calvert US Large-Cap Value Responsible Index Fund (CFJIX) and Calvert Growth Allocation Fund (CAAAX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	CFJIX	CAAAX	Difference
Sharpe ratio: Return per unit of total volatility	2.63	1.69	+0.94
Sortino ratio: Return per unit of downside risk	3.77	2.39	+1.38
Omega ratio: Gain probability vs. loss probability	1.46	1.30	+0.16
Calmar ratio: Return relative to maximum drawdown	3.82	2.22	+1.60
Martin ratio: Return relative to average drawdown	14.82	9.61	+5.21

CFJIX vs. CAAAX - Sharpe Ratio Comparison

The current CFJIX Sharpe Ratio is 2.63, which is higher than the CAAAX Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of CFJIX and CAAAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CFJIX vs. CAAAX - Drawdown Comparison

The maximum CFJIX drawdown since its inception was -36.91%, smaller than the maximum CAAAX drawdown of -53.45%. Use the drawdown chart below to compare losses from any high point for CFJIX and CAAAX.

Drawdown Indicators

	CFJIX	CAAAX	Difference
Max Drawdown Largest peak-to-trough decline	-36.91%	-53.45%	+16.54%
Max Drawdown (1Y) Largest decline over 1 year	-9.00%	-9.39%	+0.39%
Max Drawdown (3Y) Largest decline over 3 years	-16.60%	-15.37%	-1.23%
Max Drawdown (5Y) Largest decline over 5 years	-22.62%	-25.90%	+3.28%
Max Drawdown (10Y) Largest decline over 10 years	-36.91%	-32.59%	-4.32%
Current Drawdown Current decline from peak	0.00%	-2.01%	+2.01%
Average Drawdown Average peak-to-trough decline	-5.08%	-8.24%	+3.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.31%	2.17%	+0.14%

Volatility

CFJIX vs. CAAAX - Volatility Comparison

The current volatility for Calvert US Large-Cap Value Responsible Index Fund (CFJIX) is 4.26%, while Calvert Growth Allocation Fund (CAAAX) has a volatility of 5.25%. This indicates that CFJIX experiences smaller price fluctuations and is considered to be less risky than CAAAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CFJIX	CAAAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.26%	5.25%	-0.99%
Volatility (6M) Calculated over the trailing 6-month period	10.06%	10.39%	-0.33%
Volatility (1Y) Calculated over the trailing 1-year period	13.12%	12.40%	+0.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.01%	14.28%	+1.73%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.98%	15.50%	+2.48%

CFJIX vs. CAAAX - Expense Ratio Comparison

CFJIX has a 0.24% expense ratio, which is lower than CAAAX's 0.43% expense ratio.

Dividends

CFJIX vs. CAAAX - Dividend Comparison

CFJIX's dividend yield for the trailing twelve months is around 7.63%, more than CAAAX's 3.66% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CAAAX Calvert Growth Allocation Fund	3.66%	4.00%	2.50%	4.47%	2.81%	3.68%	3.34%	3.53%	6.44%	5.57%	5.13%	15.27%
CFJIX Calvert US Large-Cap Value Responsible Index Fund	7.63%	9.16%	6.31%	2.07%	2.02%	4.17%	1.88%	2.17%	4.87%	6.79%	2.28%	0.00%

Frequently Asked Questions

Can I hold both CFJIX and CAAAX in my portfolio?

CFJIX and CAAAX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CFJIX or CAAAX?

CAAAX has higher volatility (5.25%) compared to CFJIX (4.26%). In terms of maximum drawdown, CFJIX dropped -36.91% vs CAAAX's -53.45%.

Which has better risk-adjusted returns?

CFJIX currently has the higher Sharpe Ratio (2.63 vs 1.69), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.